QuantLib_RecoveryRateModel man page

RecoveryRateModel —

Synopsis

#include <ql/experimental/credit/recoveryratemodel.hpp>

Inherits Observable.

Inherited by ConstantRecoveryModel.

Public Member Functions

virtual Real recoveryValue (const Date &defaultDate, const DefaultProbKey &defaultKey=DefaultProbKey()) const

virtual bool appliesToSeniority (Seniority) const =0

Protected Member Functions

virtual Real recoveryValueImpl (const Date &, const DefaultProbKey &defaultKey) const =0

Detailed Description

Models of the recovery rate provide future values of a recovery rate in the event of a default.

Member Function Documentation

virtual Real recoveryValue (const Date & defaultDate, const DefaultProbKey & defaultKey = DefaultProbKey()) const [virtual]

returns the expected recovery rate at a future time conditional on some default event type and seniority.

virtual bool appliesToSeniority (Seniority) const [pure virtual]

Returns true if the model will return recovery rates for the requested seniority.

Implemented in ConstantRecoveryModel.

virtual Real recoveryValueImpl (const Date &, const DefaultProbKey & defaultKey) const [protected], [pure virtual]

Returns Null<Real> if unable to produce a recovery for the requested seniority.

Implemented in ConstantRecoveryModel.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

recoveryValue(3) is an alias of QuantLib_RecoveryRateModel(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib